Lasry, who supported Hillary Clinton over Donald Trump, refused to name names during a CNBC interview Tuesday. But he did say they were all politicians and none is from the business world. "It's all the people you would think."

The billionaire investor stressed that Democrats need to have a message beyond "anybody but Trump" if they want to take the White House.

Democrat John Kerry found out the same thing in 2004 — an "anyone but Bush" message was not enough to send incumbent Republican President George W. Bush packing, said Lasry, chairman and CEO of Avenue Capital, which has about $9.6 billion in assets under management.

Lasry did, however, admit he's seen good returns since Trump became president, in a rally that continues to fuel records in the stock market. "We've done well, thank God."

In Monday's powerful advance, the S&P 500 closed at an all-time high, pushing the index to a nearly 17 percent gain since Election Day.

In addition to running Avenue Capital, Lasry owns a stake in the NBA's Milwaukee Bucks.

Lasry appeared in New York on "Squawk Box" ahead of participating in a 9 a.m. ET global investing panel at the day-long Delivering Alpha conference organized by CNBC and Institutional Investor magazine.

Annual Conference for the Investor and Business Elite to be Held on July 18, 2018 at The Pierre in New York City. Delivering Alpha's Distinguished Advisory Board Represents More Than $12 Trillion Assets Under Management

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CNBC and Institutional Investor are pleased to host the 8th Annual Delivering Alpha Conference in New York City on July 18, 2018. Please take note of the new month for 2018. Delivering Alpha continues to be an incomparable who’s who of the investor community with leading asset manager and institutional investors offering candid views along with illustrious political and economic commentators appearing in short segments moderated by CNBC talent and II editors.